Using a Markov regime switching model, this article presents evidence of the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes: one with high volatility and another with low volatility. We obtain a time-varying January effect that...

Using a simple Markov regime switching model, a time-varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns is obtained. The evidence can be summarised as follows. First, the effect is positive but not very large. However, it has increased since...

We analyze a model where an exporting firm competes a la Cournot in a foreign market. The firm faces exchange rate uncertainty and has the option to invest abroad. The paper contributes four results. First, real option pricing techniques are used to derive the optimal timing rule of the...